Research
Our business is supplying a real-time data service comprising trade and quote data for all US equity, option, and futures exchanges. We have archived this data since 2004 and have created and used numerous tools to help us sift through the enormous dataset: over 5 trillion quotes and trades as of March 2013. The flash crash (May 6, 2010) had approximately 7.6 billion trade, quote, and depth records.
Detailed Analysis of Stub Quote trades in Flash Crash
May 6'th 2010 Flash Crash Analysis Continuing Developments - Stub Quoting Did Not Cause The Flash Crash Publication Date: 09-08-2010 Back to Table Of Contents As we reported in Part 5, Flash Crash Myths, pure Stub Quoting in itself did not cause the Flash Crash (pure stub quotes are quotes that [...]
Did Quote Stuffing Cause the Flash Crash? – Analysis of the 50 millisecond rule
May 6'th 2010 Flash Crash Analysis Continuing Developments - Did Quote Stuffing Cause the Flash Crash? Publication Date: 09-08-2010 Back to Table Of Contents Although quote-stuffing might not have been the cause of the flash-crash, the crash certainly would have been much less severe (or might not have occurred), if quote [...]
Latency on Demand – Manufacturing delays on NYSE
May 6'th 2010 Flash Crash Analysis Continuing Developments Latency On Demand? Publication Date: August 23, 2010 Back to Table Of Contents Update 20-Sep-2012: We found a similar delay in Nasdaq Quotes. We wanted to see the extent of the delay between NYSE quotes from CQS and OpenBook on a more recent trading [...]
The NBBO is Broken – Further ramifications of our analysis
May 6'th 2010 Flash Crash Analysis Continuing Developments The NBBO is Broken Publication Date: August 18, 2010 Back to Table Of Contents As stated in our initial Flash Crash Analysis report, at 14:42:46 PM on May 6, 2010, quotes from the NYSE began to lag. These quotes were time stamped as if they were [...]
What Really Happened to CSCO – or How to Trip a Circuit Breaker
What Happened to CSCO (Cisco Systems) on 07/29/2010 May 6'th 2010 Flash Crash Analysis - Continuing Developments Publication Date 08/10/2010 Back to Table Of Contents What Happened to CSCO on 07/29/2010 After the Flash Crash of May 6'th 2010, new rules were set by the SEC in order to help [...]
Video clip of high quote rates for PSA on 7-22-2010
May 6'th 2010 Flash Crash Analysis - Continuing Developments PSA - 07-22-2010. Back to Table Of Contents Date: July 22, 2010 Symbol: PSA (Public Storage) Listed Exchange: NYSE Market Capitalization: Approximately $17 Billion Index/ETF membership: http://finance.yahoo.com/q/ct?s=PSA+Components S&P 500 stock. The following video shows a quote screen for the NYSE stock [...]
Messages Rates 2004-2010
Quote and Trade Rates Back to Table Of Contents Chart 1: Chart 2: Chart 3: Chart 4:
Original Flash Crash Report
Analysis of the "Flash Crash" Date of Event: May 6, 2010 Publication Date: June 18, 2010 07-08-2010: We have added new data and information regarding the Flash Crash. In order to keep our report in-tact as originally published, please CLICK HERE for all new Flash Crash related information from Nanex. On the [...]